You are right, this feature is missing for Combo, mostly due to some historical reasons. A possible workaround is to overlay the Hotspot widget over individual items and link that. Another possibility is to combine a Combo with a List, to emulate open combo, and then link items in the list.
Thanks for the suggested workarounds which I will certainly try. Would be nice to have a more intuitive and symantically correct solution though. If there is a backwards compatibility issue with adding option/link pair functionality, could we have a new widget called a drop-down selection box modelled more along the lines of what we have in html, since I think many people wireframe complex backoffice web portals these days before getting into implementation.